Results 31 to 40 of about 3,551 (159)

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source

Towards conformal invariance of 2D lattice models [PDF]

, 2006
Many 2D lattice models of physical phenomena are conjectured to have conformally invariant scaling limits: percolation, Ising model, self-avoiding polymers, ...
Smirnov, Stanislav
core   +2 more sources

Adaptive CUSUM Chart for Simultaneous Monitoring of Mean and Variance

Quality and Reliability Engineering International, EarlyView.
ABSTRACT Simultaneously monitoring changes in both the mean and variance is a fundamental problem in statistical process control, and numerous methods have been developed to address it. However, many existing approaches face notable limitations: Some rely on tuning parameters that can significantly affect performance; others are biased toward detecting
Gokul Parakulum, Jun Li
wiley   +1 more source

Expansion of Iterated Stochastic Integrals with Respect to Martingale Poisson Measures and with Respect to Martingales Based on Generalized Multiple Fourier Series

, 2020
We consider some versions and generalizations of the approach to expansion of iterated Ito stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on generalized multiple Fourier series. The expansions of iterated stochastic integrals
Kuznetsov, Dmitriy F.
core  

Towards a geometrical classification of statistical conservation laws in turbulent advection

, 2011
The paper revisits the compressible Kraichnan model of turbulent advection in order to derive explicit quantitative relations between scaling exponents and Lagrangian particle configuration geometry.Comment: 16 pages, 3 ...
Muratore-Ginanneschi, Paolo
core   +1 more source

A Bayesian-martingale approach to the general disorder problem

Stochastic Processes and their Applications, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
KAVTARADZE T, LAZIERZA N, MANIA M, MULIERE, PIETRO   +3 more
openaire   +2 more sources

Riding Through Norms: Creating and Performing Athletic Femininity at American Ladies’ Equestrian Exhibitions, 1850–1890

Gender &History, EarlyView.
ABSTRACT During the nineteenth century, American agricultural fairs often featured ladies’ equestrian exhibitions. At these events, women constructed an athletic femininity based on skill and competitiveness that challenged traditional ideals of womanhood.
Gabrielle McCoy
wiley   +1 more source

Idiosyncratic asset return and wage risk of US households

Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.
Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
wiley   +1 more source

Closed‐Form Optimal Investment Under Generalized GARCH Models

European Financial Management, EarlyView.
ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel, Tobias Lausser, Rudi Zagst   +2 more
wiley   +1 more source

Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies

International Economic Review, EarlyView.
ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi, Junpei Komiyama, Shunya Noda   +2 more
wiley   +1 more source